Jump Diffusion Simulation and Calibration for Merton and Kou Models

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Documentation for package ‘JumpDiffSim’ version 0.1.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

confint-method	JDFitResult: MLE Estimation Output Class
diagnosticPlots	Diagnostic Plots for a JDSimResult Object
fit	Fit Model to Log-Returns via MLE
fitMerton	Fit Merton Jump-Diffusion Model via MLE
JDFitResult-class	JDFitResult: MLE Estimation Output Class
jdSampleData	Generate Synthetic Log-Returns from a Jump-Diffusion Model
JDSimResult-class	JDSimResult: Simulation Output Class
JumpDiffModel-class	JumpDiffModel: Virtual Base Class for Jump-Diffusion Models
jumpMoments	Theoretical Moments of the Log-Return Distribution
jumpMoments-method	Theoretical Moments of the Merton Jump-Diffusion Log-Return
loglik	Compute Negative Log-Likelihood
mertonLogLik	Negative Log-Likelihood for the Merton Jump-Diffusion Model
MertonModel	Create a MertonModel Object
MertonModel-class	MertonModel: Merton (1976) Jump-Diffusion Model
priceEuropean	Price a European Option under the Merton Jump-Diffusion Model
show-method	JDFitResult: MLE Estimation Output Class
show-method	MertonModel: Merton (1976) Jump-Diffusion Model
simulate	Simulate Asset Price Paths
simulateMerton	Simulate Merton Jump-Diffusion Asset Paths